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Alpha and the Risk of Failure
- Editore:
VDM Verlag
- EAN:
9783639165098
- ISBN:
3639165098
- Pagine:
- 84
- Formato:
- Paperback
- Lingua:
- Tedesco
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Descrizione Alpha and the Risk of Failure
This study aims to test, on a specific sample, if abnormal returns or alpha, as defined by the Capital Asset Pricing Model (CAPM) and the Fama-French Three Factor Model (FF-TFM), can be explained by the risk of failure measured using the Skogsvik probability of default model. The study tests data over a 20 year period for 133 Swedish listed companies within the sectors manufacturing, quarrying and mining, and IT.
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